中文摘要：

基于市场微观结构理论模型,利用我国上海股票市场交易的高频数据,分析了我国股市订单差和流动性对股价的冲击,并按照公司规模、市场态势进行了比较分析.研究发现,订单差对股价的冲击呈现为两阶段的双曲正切函数,而非线性关系;正订单差对价格的冲击显著高于负订单差,尤其是大盘股,这一点有助于解释A股市场相对于海外市场价格偏高;大盘股交易量变化对股价的冲击近似于指数函数,中、小盘股未能发现此规律;熊市订单差区间、交易量变化区间远远大于牛市相对应区间;牛市中交易量的增加会导致价格上升,熊市中却不一定.这些研究成果将为机构投资者优化下单、降低冲击成本提供参考.

英文摘要：

Based on the market microstructure theory,this paper uses high frequency exchange data from Shanghai Stock Market to analyze how stock prices respond to the order imbalance and the liquidity,and compares the results according to the differences among different companies and market conditions.We find that the relation between price change and order imbalance is not linear,but a sub-hyperbolic tangent function;and the impact that positive order imbalance have on the stock price is larger than negative order difference,especially when the stock is a large-cap share.This finding is useful in explaining why the price in A-share market is higher than other markets;and the relation between price change and the change of trading volume approximate to an exponential function in large-cap share,but not in middle-or small-cap share.The change intervals of order imbalance in bear market are much larger than in bull market,and it is the same with the change of trading volume;the price will rise with increase in the change of volume in bull market,but not in bear market.These results will be helpful for the institutional investors to optimize investment and cut down the impact cost.